CBU Options History — September 2017

In September 2017, CBU traded between $49.05 and $55.27. ATM implied volatility averaged 23.8%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.0% (HV 20d: 19.8%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.56.

Notable Days

2017-09-22: Highest Volume — 144 contracts
2017-09-13: Largest IV drop — 35.7% change
2017-09-12: Highest IV Rank — 43.9%
2017-09-18: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.23	$49.05	$55.27	$51.63	$55.27
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	23.8%	20.3%	37.4%	23.4%	21.4%
Expected Move	6.6%	5.8%	7.1%	6.7%	6.1%
HV 20d	19.8%	17.3%	21.3%	17.3%	20.7%
HV 60d	18.5%	17.0%	19.1%	17.8%	18.7%
IV Rank	15.9%	9.4%	43.9%	11.4%	12.6%
IV Percentile	43.4%	10.7%	93.7%	41.7%	16.3%
Term Structure	0.5%	-1.1%	1.5%	-0.1%	1.4%
VWIV	23.2%	21.8%	24.6%	23.9%	22.6%
Skew 25d	3.7%	1.9%	7.6%	6.0%	7.6%
Skew 10d	7.1%	0.8%	19.6%	6.1%	12.3%
Call IV 25d	21.0%	17.3%	23.9%	17.9%	17.3%
Put IV 25d	24.7%	22.9%	26.6%	23.8%	24.9%
Bid-Ask Spread %	87.82	81.73	93.90	93.30	92.66
Gamma HHI	0.42	0.33	0.54	0.42	0.50
Net GEX	10.8K	-7.0K	35.3K	-2.3K	35.3K
Net DEX	-134.4K	-413.3K	72.1K	32.8K	-413.3K
Net VEX	-1.3K	-2.0K	-547	-633	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.27	1.55	0.90	0.27
Total Volume	105.05	38	144	38	144
Total OI	196.2	129	256	129	256

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-09-01	$51.63	$50.00	23.4%	6.7%	17.3%	11.4%	23.9%	6.0%	-0.1%	-2.3K	32.8K	-633	0.90	93.30	20	18	85	44
2017-09-05	$50.41	$50.00	26.4%	6.9%	18.6%	15.5%	24.0%	3.1%	0.1%	-4.1K	62.2K	-610	1.55	84.21	20	31	85	44
2017-09-06	$50.33	$50.00	24.9%	6.7%	18.5%	13.5%	23.5%	3.5%	0.3%	-7.0K	72.1K	-547	0.78	82.63	40	31	85	46
2017-09-07	$49.05	$50.00	21.9%	7.0%	19.5%	9.4%	24.6%	2.7%	-0.1%	-3.6K	54.2K	-829	0.78	84.15	40	31	117	46
2017-09-08	$49.73	$50.00	23.5%	7.0%	19.7%	11.6%	24.2%	2.5%	-0.0%	-4.5K	33.0K	-876	0.76	82.87	41	31	117	46
2017-09-11	$50.72	$50.00	28.1%	6.9%	21.1%	25.7%	24.0%	3.0%	0.3%	-5.0K	-3.4K	-865	0.76	81.73	41	31	112	46
2017-09-12	$51.81	$50.00	37.4%	6.9%	20.8%	43.9%	24.2%	3.3%	0.1%	-1.0K	-44.8K	-879	0.76	85.00	41	31	112	46
2017-09-13	$52.24	$50.00	24.1%	6.9%	21.0%	17.8%	24.1%	3.5%	0.9%	2.2K	-75.1K	-947	0.76	84.75	41	31	112	46
2017-09-14	$51.59	$50.00	23.6%	6.8%	21.3%	16.9%	23.4%	2.6%	0.5%	1.7K	-69.8K	-948	0.76	84.25	41	31	112	46
2017-09-15	$52.07	$50.00	23.8%	6.8%	19.4%	17.4%	24.2%	3.6%	0.6%	5.2K	-88.5K	-932	0.51	86.65	71	36	112	46
2017-09-18	$52.37	$50.00	24.7%	7.1%	19.4%	19.1%	22.9%	3.1%	-1.1%	8.8K	-131.2K	-1.2K	0.34	89.65	91	31	142	41
2017-09-19	$52.34	$50.00	23.6%	6.8%	19.3%	16.9%	22.3%	1.9%	-0.3%	13.4K	-150.5K	-1.3K	0.29	89.56	108	31	162	41
2017-09-20	$53.06	$50.00	20.9%	6.0%	19.7%	11.7%	21.8%	2.6%	1.3%	22.1K	-241.9K	-1.8K	0.29	90.18	108	31	210	41
2017-09-21	$52.94	$50.00	20.3%	5.8%	19.7%	10.5%	22.0%	3.4%	1.5%	22.1K	-245.1K	-1.8K	0.29	84.02	108	31	210	41
2017-09-22	$53.12	$50.00	21.5%	6.2%	19.8%	12.9%	22.2%	2.4%	0.6%	21.8K	-239.2K	-1.8K	0.27	91.05	113	31	210	41
2017-09-25	$53.16	$50.00	21.9%	6.3%	19.6%	13.6%	22.9%	2.4%	0.0%	22.3K	-243.7K	-1.8K	0.27	91.44	113	31	215	41
2017-09-26	$53.42	$50.00	20.7%	5.9%	19.5%	11.3%	22.4%	4.5%	1.5%	25.9K	-278.7K	-1.9K	0.27	91.08	113	31	215	41
2017-09-27	$54.64	$50.00	21.6%	6.2%	20.7%	13.1%	22.6%	5.9%	1.2%	31.2K	-359.8K	-2.0K	0.27	93.90	113	31	215	41
2017-09-28	$54.69	$50.00	21.7%	6.2%	20.7%	13.2%	22.8%	5.8%	1.1%	31.3K	-357.8K	-1.9K	0.27	93.39	113	31	215	41
2017-09-29	$55.27	$50.00	21.4%	6.1%	20.7%	12.6%	22.6%	7.6%	1.4%	35.3K	-413.3K	-2.0K	0.27	92.66	113	31	215	41